Can you explain why the correct option is D using the example in the question?

Suppose that a portfolio K, is believed to have a positive alpha of 1.4. You used the benchmark portfolio (market portfolio) to hedge away the systematic risk and further, you added a position in the risk-free asset to convert portfolio K into a zero-beta, zero-net investment portfolio. The resulting arbitrage portfolio weights in the benchmark portfolio and risk-free asset are Select one: O a. -14 and -0.4, respectively O b.-1.4 and 0.4, respectively c. -14 and -0.4, respectively O d. 1.4 and -0.4, respectively